Fiddler at least works as an HTTP proxy - so unless the program supports and is specifically configured to use the proxy it won't be much help. I don't know how httpwatch works - but since it claims to only "seamlessly integrate" with MSIE or Firefox, it looks like it may be working too high in the stack to be applicable to a different program.
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symcbeanNov 16 '10 at 13:02

fiddler is what I'm looking for. Has very convenient features too.
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this is a dead endNov 16 '10 at 13:28

For just a quick look without going into a packet capture, I always keep a SysInternals program called TCPView in my bin dir. Fire that up for a look at where it is trying to go. Obviously for a more in-depth look at it's request, wireshark/windump is the answer.

One of the peculiarities of MSWindows is that winsock.dll allows sockets to be reconciled against individual programs quite easily - most MSWindows firewalls (Kerio, ZoneAlarm etc) allow you to specify which programs are allowed to connect to which servers / ports. Its been some time since I played with these tools but IIRC Kerio certainly allows limited logging - all you'll see is the server/port it has connected to though but this approach would complement use a wiretap (e.g. wireshark) to capture details of the conversation.